This is a proverb which may be stated in different ways:
Leaving cutting stones usually means leaving aji behind. Later in the game aji can become your downfall.
When the capture is a ponnuki, there are shape reasons to capture. But quite generally there are strategic reasons to capture if that also connects (and so reduces your number of weak groups).
There is a corollary to one of the meanings of this proverb: cut the side you don't want.
Capture the cutting stones in joseki 1
Capture the cutting stones in joseki 2